Study: Sell BEML when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell BEML when there is Bearish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BEML at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
135292.0895484750.534561.0815235.01-3907.23-28035.321.171.190.013371.5
2-55680.7495474849.477127.2329432.52-8138.76-40256.220.880.86-0.011-586.11
3-10044395474849.477863.4632264.98-9792.21-51046.030.80.79-0.017-1057.3
4-12418095464948.428192.2331118.31-10224.95-49790.790.80.75-0.021-1307.16
5-23383095504552.639461.8344084.28-15709.37-1000000.60.67-0.028-2461.37
6-30107595484750.5311472.0535656.4-18121.99-1552300.630.65-0.027-3169.21
7-29991895494651.5812646.2140842.79-19990.92-1372380.630.67-0.027-3157.03
8-32589695514453.6813218.3952188.01-22728.05-1493720.580.67-0.027-3430.49
9-29538695464948.4215703.0163857.37-20769.89-1267780.760.71-0.024-3109.33
10-27024295455047.3716843.9473581.85-20564.38-1380750.820.74-0.022-2844.65

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.19. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 50.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1135292.0895484750.534561.0815235.01-3907.23-28035.321.171.190.013371.5
atrtrail-15.58-86713.08106376934.9112311.0766937.44-7858.3-25233.581.570.84-0.013-818.05
atrtrail35.02-94955.46106376934.9112088.3139898.37-7858.3-25233.581.540.82-0.015-895.81
atrtrail24.55-116919108396936.1110905.2126598.91-7858.3-25233.581.390.78-0.021-1082.59
atrnil26.74-251090108317728.718404.7738597.44-10670.62-25233.581.720.69-0.035-2324.9
atrnil38.62-31213910521842027491.457896.15-10588.78-25233.582.60.65-0.038-2972.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 50.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, X=1, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Jan 2019 (-3.42%), 03 Apr 2019 (2.0%)
2018309 Mar 2018 (-1.08%), 18 Jul 2018 (1.32%), 04 Dec 2018 (3.37%)
2017614 Feb 2017 (2.62%), 18 Apr 2017 (0.14%), 03 May 2017 (-0.76%), 13 Jul 2017 (1.79%), 08 Aug 2017 (4.3%), 29 Aug 2017 (-0.56%)
2016407 Jan 2016 (-0.44%), 23 May 2016 (3.55%), 09 Aug 2016 (-0.88%), 09 Sep 2016 (2.46%)
2015630 Jan 2015 (-2.28%), 26 Feb 2015 (-1.76%), 12 Mar 2015 (-0.67%), 25 Jun 2015 (-0.72%), 10 Jul 2015 (-1.64%), 29 Jul 2015 (-1.97%)
2014217 Jun 2014 (-2.8%), 12 Dec 2014 (2.82%)
2013328 Feb 2013 (2.85%), 28 Oct 2013 (-1.09%), 11 Nov 2013 (-1.58%)
2012406 Mar 2012 (1.41%), 18 May 2012 (-1.77%), 18 Jul 2012 (-0.4%), 18 Dec 2012 (-0.72%)
2011202 Jun 2011 (-0.04%), 15 Nov 2011 (2.51%)
2010322 Jan 2010 (1.37%), 21 Sep 2010 (0.28%), 08 Oct 2010 (-1.16%)
2009311 May 2009 (0.61%), 03 Jun 2009 (-5.86%), 07 Jul 2009 (-5.2%)
2008312 Feb 2008 (-1.56%), 23 May 2008 (2.66%), 21 Nov 2008 (5.04%)
2007823 Jan 2007 (4.29%), 12 Feb 2007 (1.0%), 04 Apr 2007 (0.5%), 02 Jul 2007 (-4.43%), 17 Jul 2007 (-0.15%), 19 Oct 2007 (-2.1%), 02 Nov 2007 (-3.65%), 22 Nov 2007 (0.93%)
2006503 Feb 2006 (0.51%), 20 Feb 2006 (-2.31%), 16 Mar 2006 (-0.2%), 05 Sep 2006 (1.68%), 09 Nov 2006 (1.05%)
2005503 May 2005 (-0.71%), 19 May 2005 (1.12%), 02 Sep 2005 (0.92%), 22 Sep 2005 (-0.26%), 10 Oct 2005 (1.64%)
2004506 Jan 2004 (2.36%), 24 Feb 2004 (2.62%), 09 Aug 2004 (-0.54%), 30 Sep 2004 (-1.07%), 27 Dec 2004 (-1.02%)
2003306 Jun 2003 (0.36%), 08 Jul 2003 (3.03%), 14 Nov 2003 (-2.97%)
2002730 Jan 2002 (0.63%), 28 Feb 2002 (-14.02%), 15 Apr 2002 (3.18%), 11 Jun 2002 (-0.54%), 09 Jul 2002 (3.86%), 30 Aug 2002 (1.42%), 30 Dec 2002 (1.72%)
2001609 Jan 2001 (-2.48%), 12 Feb 2001 (3.25%), 26 Feb 2001 (7.62%), 05 Sep 2001 (-0.33%), 03 Dec 2001 (-0.57%), 18 Dec 2001 (5.66%)
2000219 Jul 2000 (0.21%), 18 Dec 2000 (3.6%)
1999318 Jan 1999 (5.42%), 21 Jul 1999 (1.0%), 03 Sep 1999 (0.14%)
1997507 Feb 1997 (-1.0%), 07 May 1997 (-7.8%), 24 Sep 1997 (-1.01%), 27 Oct 1997 (6.8%), 09 Dec 1997 (-2.46%)
1996306 May 1996 (1.12%), 12 Jul 1996 (-0.63%), 26 Sep 1996 (-0.72%)
1995211 Jul 1995 (0.71%), 14 Aug 1995 (-2.5%)



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